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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS Daily CMBS Weekly CMBS CBO/CDO/CLO
Pricing Table: Non-Agency CMO | ABS
METRIC STRUCTURED PRODUCT TYPE
NON-AGENCY CMO
(P&I)		 NON-AGENCY CMO
(IO/PO)		 ABS
Investment Grade
AVERAGE PRICE 95.6 - 99.2
Weighted Avg. Price 98.5 - 99.8
Avg. Price Bottom 5 Trades 78.3 - 81.0
2nd Quartile Price 94.0 - 98.7
3rd Quartile Price 99.4 - 99.9
4th Quartile Price 100.0 - 100.4
Avg. Price Top 5 Trades 101.0 - 103.2
Standard Deviation 6.8 - 2.8
VOLUME OF TRADES (000'S) 783,819.2 - 1,127,396.6
Customer Buy 352,095.3 - 563,534.4
Customer Sell 431,699.0 - 509,321.2
Dealer to Dealer 24.9 - 54,541.0
<= $1MM 18,367.2 - 63,313.1
<= $10MM 295,462.5 - 541,368.8
<= $100MM 469,989.5 - 522,714.6
> $100MM - - -
NUMBER OF TRADES 201 - 521
Customer Buy 82 - 184
Customer Sell 111 - 256
Dealer to Dealer 8 - 81
<= $1MM 107 - 317
<= $10MM 74 - 174
<= $100MM 20 - 30
> $100MM - - -
Non-Investment Grade †
AVERAGE PRICE 69.0 * 99.1
Weighted Avg. Price 90.9 * 99.5
Avg. Price Bottom 5 Trades 12.7 * 86.3
2nd Quartile Price 46.3 * 99.6
3rd Quartile Price 76.0 * 100.0
4th Quartile Price 89.8 * 101.0
Avg. Price Top 5 Trades 115.5 * 102.9
Standard Deviation 25.4 * 4.1
VOLUME OF TRADES (000'S) 51,165.4 * 165,834.3
Customer Buy 27,201.6 * 70,848.5
Customer Sell 17,613.8 - 47,485.7
Dealer to Dealer 6,350.0 * 47,500.0
<= $1MM 9,805.1 * 12,548.5
<= $10MM 41,360.2 - 133,285.8
<= $100MM - - *
> $100MM - - -
NUMBER OF TRADES 269 * 67
Customer Buy 112 * 27
Customer Sell 103 - 30
Dealer to Dealer 54 * 10
<= $1MM 251 * 29
<= $10MM 18 - 37
<= $100MM - - *
> $100MM - - -

Pricing Table: Non-Agency CMO (P&I) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
Investment Grade
AVERAGE PRICE 90.5 - - 96.6
Weighted Avg. Price 93.7 - - 98.5
Avg. Price Bottom 5 Trades 79.9 - - 80.8
2nd Quartile Price 85.5 - - 98.6
3rd Quartile Price 94.0 - - 99.5
4th Quartile Price 97.2 - - 100.1
Avg. Price Top 5 Trades 98.4 - - 101.0
Standard Deviation 7.4 - - 6.3
VOLUME OF TRADES (000'S) 141.1 - - 783,678.1
Customer Buy 68.9 - - 352,026.4
Customer Sell 47.2 - - 431,651.8
Dealer to Dealer 24.9 - - -
<= $1MM 141.1 - - 18,226.2
<= $10MM - - - 295,462.5
<= $100MM - - - 469,989.5
> $100MM - - - -
NUMBER OF TRADES 31 - - 170
Customer Buy 11 - - 71
Customer Sell 12 - - 99
Dealer to Dealer 8 - - -
<= $1MM 31 - - 76
<= $10MM - - - 74
<= $100MM - - - 20
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE 66.8 - - 97.5
Weighted Avg. Price 61.6 - - 97.5
Avg. Price Bottom 5 Trades 12.7 - - 90.7
2nd Quartile Price 44.0 - - 99.0
3rd Quartile Price 75.0 - - 99.4
4th Quartile Price 85.0 - - 100.2
Avg. Price Top 5 Trades 112.8 - - 100.7
Standard Deviation 25.0 - - 6.5
VOLUME OF TRADES (000'S) 9,448.5 - - 41,716.9
Customer Buy 5,684.3 - - 21,517.3
Customer Sell 3,078.5 - - 14,535.3
Dealer to Dealer 685.7 - - *
<= $1MM 5,947.3 - - *
<= $10MM * - - 37,859.0
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES 250 - - 19
Customer Buy 103 - - 9
Customer Sell 95 - - 8
Dealer to Dealer 52 - - *
<= $1MM 247 - - *
<= $10MM * - - 15
<= $100MM - - - -
> $100MM - - - -

Pricing Table: Non-Agency CMO (IO/PO) by Deal Vintage
METRIC DEAL VINTAGE
PRE-2009 2009-2013 2014-2016 POST-2016
Investment Grade
AVERAGE PRICE - - - -
Weighted Avg. Price - - - -
Avg. Price Bottom 5 Trades - - - -
2nd Quartile Price - - - -
3rd Quartile Price - - - -
4th Quartile Price - - - -
Avg. Price Top 5 Trades - - - -
Standard Deviation - - - -
VOLUME OF TRADES (000'S) - - - -
Customer Buy - - - -
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES - - - -
Customer Buy - - - -
Customer Sell - - - -
Dealer to Dealer - - - -
<= $1MM - - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - -
Non-Investment Grade †
AVERAGE PRICE * - - -
Weighted Avg. Price * - - -
Avg. Price Bottom 5 Trades * - - -
2nd Quartile Price * - - -
3rd Quartile Price * - - -
4th Quartile Price * - - -
Avg. Price Top 5 Trades * - - -
Standard Deviation * - - -
VOLUME OF TRADES (000'S) * - - -
Customer Buy * - - -
Customer Sell - - - -
Dealer to Dealer * - - -
<= $1MM * - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - -
NUMBER OF TRADES * - - -
Customer Buy * - - -
Customer Sell - - - -
Dealer to Dealer * - - -
<= $1MM * - - -
<= $10MM - - - -
<= $100MM - - - -
> $100MM - - - -

* Indicates trade count is less than 5
† Includes Unrated Securities
Data updated with current day's trades at approximately 8PM New York time
Effective June 1st, 2015 ABS List or Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-ICE Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Effective January 10th, 2026 the “Structured Trading Activity Report”, “CBO/CDO/CLO” row and the “CBO/CDO/CLO” Pricing Table was revised for the As Of Dates of December 1, 2025 through December 12, 2025. This was due to an issue where trades were not being classified into the CBO/CDO/CLO NON-AAA IG bucket when those reports were first published.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email [email protected].
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